PL EN


2008 | 19 | 1-2 | 57-75
Article title

CALENDAR EFFECTS ON THE WARSAW STOCK EXCHANGE

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Selected contents from this journal
Title variants
Languages of publication
PL
Abstracts
EN
The paper looks at seasonality effects displayed by share prices on the Warsaw Stock Exchange (WSE). The analysis covers four WSE indices and 30 selected companies. The author uses methods that make it possible to determine the 'generalized autoregressive conditional heteroskedasticity' (GARCH) of financial instruments in terms of their rates of return. On the basis of his analysis, he concludes that, first of all, there is a visible 'Thursday effect' as well as a 'Friday effect' on the Polish stock market. On Thursdays and Fridays, the return on stock investments is generally higher than on other days of the week. Second, it is also possible to identify a 'December effect' and a 'January effect', though their importance varies from one market segment to another. Third, these calendar effects apply to a greater extent to the WSE's indices rather than individual share prices. Fourth, from an economic point of view, the role of the calendar effects is limited and they are too insignificant to form the basis of a viable investment strategy.
Year
Volume
19
Issue
1-2
Pages
57-75
Physical description
Document type
ARTICLE
Contributors
author
  • M. Grotowski, Uniwersytet Ekonomiczny w Krakowie, Katedra Rynków Finansowych, ul. Rakowicka 27, 31-510 Kraków, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
08PLAAAA03937803
YADDA identifier
bwmeta1.element.812d1f4e-87e4-3539-afbc-184af3c0c844
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